A-Share Screen Combining Moving Averages, Auction Value, and Fund Flow

Summary

This post describes a simple Chinese A-share selection rule: rank stocks by descending fund strength, keep the five with the largest auction trading value for the day, and require the 20-day moving average to exceed the 120-day average. The author interprets fund strength and auction value as signs of investor attention or activity, while the moving-average condition indicates stronger recent than longer-term price trends.

The post gives no backtest, performance statistics, or detailed definitions for fund strength and auction value. It warns that the ranking and activity filters may leave out quieter stocks, while the moving-average test can miss longer-term conditions. Suggested refinements combine the flow and activity measures and assess short- and long-term trends together. The included Python reference is incomplete and does not demonstrate a working implementation, so the stated selection logic is more informative than the code.

Key ideas

• The screen ranks stocks by fund strength and selects the five with the highest daily auction trading value.
• It also requires the 20-day moving average to be above the 120-day moving average.
• The author treats fund flow and auction activity as possible indicators of market attention and upward potential.
• The post identifies missed quieter stocks and limited long-term trend context as possible drawbacks.
• No backtest or quantified performance evidence is provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.